The thing is GFWL DLC works a differently to steam DLC, in order to use it you need to to do the following steps.
1. Right click on SSF4 AE and look for Product keys.
2. You will see a long list of individual DLC keys.
3. Go to www.xbox.com and login with your GFWL account.
4. Go to product registration and register all the DLC you have.
5. Go to the GFWL client on your PC and download all the DLC for SSF4
6. After its done, start the game and the DLC should be there.
Wow, that sounds awful.